Banks’ Maturity Transformation: Risk, Reward, and Policy

Released on by Pierluigi Bologna
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  • Banks’ Maturity Transformation: Risk, Reward, and Policy Book Detail

  • Author : Pierluigi Bologna
  • Release Date : 2018-03-09
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 32
  • ISBN 13 : 1484345185
  • File Size : 74,74 MB
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Banks’ Maturity Transformation: Risk, Reward, and Policy by Pierluigi Bologna PDF Summary

Book Description: The aim of this paper is twofold: first, to study the determinants of banks’ net interest margin with a particular focus on the role of maturity transformation, using a new measure of maturity mismatch; second, to analyse the implications for banks from the relaxation of a binding prudential limit on maturity mismatch, in place in Italy until mid-2000s. The results show that maturity transformation is a relevant driver of the net interest margin, as higher maturity transformation is typically associated with higher net interest margin. However, ‘excessive’ maturity transformation— even without leading to systemic vulnerabilities— increases banks’ interest rate risk exposure and lowers their net interest margin.

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Banks' Maturity Transformation

Banks' Maturity Transformation

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The aim of this paper is twofold: first, to study the determinants of banks' net interest margin with a particular focus on the role of maturity transformation,

Banks' Maturity Trnasformation

Banks' Maturity Trnasformation

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The aim of this paper is twofold: first, to study the determinants of banks’ net interest margin with a particular focus on the role of maturity transformatio

Banking on Deposits

Banking on Deposits

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We show that maturity transformation does not expose banks to significant interest rate risk -- it actually hedges banks' interest rate risk. We argue that this